Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 4 4
Score 2.23 4.66 2.42
Market Cap (Millions USD) 84 71.2 64.21
Predicted Beta 1.3 1.31 1.3
Idiosyncratic Volatility 3.68 4.36 4.48

Annualized return and volatility

RTH
Annualized Return 0.0866
Annualized Std Dev 0.1951
Annualized Sharpe (Rf=0%) 0.4438

Row

Daily Return Statistics

RTH
Observations 4761.0000
NAs 353.0000
Minimum -0.0773
Quartile 1 -0.0058
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0066
Maximum 0.1166
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0123
Skewness 0.3449
Kurtosis 6.4815

Downside Risk

RTH
Semi Deviation 0.0086
Gain Deviation 0.0090
Loss Deviation 0.0086
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0084
Downside Deviation (0%) 0.0084
Maximum Drawdown 0.4191
Historical VaR (95%) -0.0188
Historical ES (95%) -0.0279
Modified VaR (95%) -0.0170
Modified ES (95%) -0.0196
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2010-04-08 -0.4191 702 426 276
2002-03-21 2003-03-11 2004-11-11 -0.3683 681 251 430
2001-05-23 2001-09-21 2002-02-26 -0.2837 192 83 109
2018-09-13 2018-12-24 2019-07-03 -0.2118 205 72 133
2010-04-27 2010-07-06 2010-12-30 -0.1993 175 50 125

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RTH
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA -0.3 0.0 -0.1 0.0 -1.5 0.9 0.0 0.0 -1.0
2002 -1.4 0.7 -1.5 0.0 0.0 -2.1 -3.9 0.0 2.5 1.1 0.0 0.0 -4.7
2003 0.0 0.0 0.4 -0.9 0.0 0.3 -1.0 0.0 2.8 0.0 0.1 0.0 1.8
2004 0.0 1.0 -0.9 0.0 0.1 -1.2 0.0 0.3 0.8 0.4 1.4 0.0 1.9
2005 0.2 1.0 -1.7 0.0 1.2 0.4 -0.1 -0.6 0.0 -0.4 0.6 0.0 0.5
2006 -0.4 0.4 0.0 0.7 0.9 0.0 -1.0 1.0 0.0 -1.6 -0.2 0.0 -0.3
2007 0.8 -0.7 0.0 0.5 1.3 0.0 0.8 0.0 -0.3 -3.0 0.0 0.0 -0.5
2008 0.6 0.0 4.5 2.2 0.0 0.2 -0.8 0.0 -1.3 0.0 -7.1 0.0 -2.1
2009 0.0 0.0 1.4 -1.3 4.7 -0.2 0.0 -0.8 -0.8 0.0 1.5 0.0 4.4
2010 0.0 1.1 0.4 0.0 -0.7 0.7 0.0 3.2 -0.1 0.0 1.7 0.0 6.4
2011 0.9 -1.2 0.7 0.0 -2.1 1.5 -0.7 -0.9 0.0 -1.2 0.2 0.0 -2.7
2012 0.2 0.4 0.0 0.1 -1.9 0.0 -0.8 0.0 0.2 0.3 0.0 0.0 -1.5
2013 0.4 0.6 -0.5 -0.5 0.0 0.8 1.0 0.0 1.0 0.2 0.0 0.0 3.0
2014 0.0 0.0 0.6 0.1 0.0 0.9 -0.1 0.0 -1.0 0.0 -1.1 0.0 -0.7
2015 0.0 0.0 -0.9 1.2 0.1 1.0 0.0 -2.1 0.6 0.0 0.9 0.0 0.8
2016 0.5 2.0 0.7 0.0 0.2 0.5 0.2 0.1 0.0 -1.1 -0.3 0.0 2.7
2017 -0.4 0.6 0.0 0.1 1.3 0.0 0.4 0.7 0.0 0.4 -0.5 0.0 2.6
2018 -1.7 -1.0 0.0 -0.6 0.5 0.0 -0.7 0.0 0.1 1.9 0.0 0.0 -1.5
2019 -1.8 0.2 1.0 -1.0 0.0 0.8 -1.3 0.0 -0.5 1.3 0.0 0.3 -1.1

Row

Rolling Performance Chart

Snail Trail Chart